If you have an M.2 heatsink pre-installed on the board, use that. It tends to do the job. There is no need to buy a better heatsink or an M.2 SSD that comes with a heatsink just because it might be slightly better than the MSI one. Those M.2 heatsinks are meant to prevent throttling under sustained load, not much more.
The time you think about getting a seperate M.2 heatsink comes when you want to populate an M.2 slot where there is no pre-installed heatsink on the board, and you have a powerful SSD that can get too hot under sustained load. For example the Samsung 980 PRO should manage without a heatsink, it should stay just below the throttling temperature. The WD_BLACK SN850 gets hotter and can benefit from a heatsink.
Here you see different heatsinks tested on a WD SN850:
https://techtest.org/7x-nvme-ssd-kuehler-im-test-be-quiet-icy-box-und-co-im-vergleich/
(
English translation)
While there are certainly differences in heatsink performance, all of them manage to prevent a throttling of the SSD controller.
